When I preview the results of an XSLT scenario, Finnish (Finland) letters appear correct. However, when I save the results in xls or html format and open from Excel, special characters are corrupt (for exmaple: ä).
My computer is already set to supporet Finnish Characters under Setting->Control panel->Regional and language options.

Could you please advise if Stylus Studio supports export of text with Finnish characters and if so, how?

Stylus Studio is fully Unicode aware, inside and out.
So it absolutely supports the Finnish character set.

But if the encoding you are writing does not, it is
possible you could have a problem - or more likely,
if the receiving end is assuming the default encoding
and you haven't specified an encoding, you are writing
UTF-8 and it is reading something else.